mtarm
Bayesian Estimation of Multivariate Threshold Autoregressive Models
v0.1.8
·
Jan 11, 2026
·
GPL-2 | GPL-3
Description
Estimation, inference and forecasting using the Bayesian approach for multivariate threshold autoregressive (TAR) models in which the distribution used to describe the noise process belongs to the class of Gaussian variance mixtures.
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